Seasonal Effects in Government Bonds Worldwide?
September 22, 2016 - Bonds, Calendar Effects
Do government bond returns worldwide exhibit seasonal effects analogous to those of stock market returns? In their August 2016 draft paper entitled “Seasonality in Government Bond Returns and Factor Premia”, Adam Zaremba and Tomasz Schabek investigate seasonal patterns in government bond returns across countries, focusing on regression tests of January and sell-in-May (May-October versus November-April) effects. They also examine whether… Keep Reading